Finite credibility formulae in evolutionary models

DOI10.1080/03461238.1983.10408696MaRDI QIDQ3040382zbMATH OpenOpenAlexFDO

Authors Bjørn Sundt

Publication date 1983

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1983.10408696

zbMATH Keywords

ARMA modelcredibility estimationevolutionary modelsexpected claim amountfinite credibility formulaeKalman filterrecursive procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• Dynamical systems and their applications: linear theory
• scientific article; zbMATH DE number 3526199 (Why is no real title available?)

Cited in

(8)

• Credibility and old estimates
• A seemingly unrelated regression model in a credibility framework.
• Credibility theory and the Kalman filter
• Empirical kalman-Credibility
• Credibility for stationarity
• BAP and credibility
• A simple Bayesian state-space approach to the collective risk models
• Linearly sufficient fun with credibility

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